SSH, keys and Java for newbie

I dont' understand what I should do to connect via SSH to my server. In the past, I simply had to give my login and password. Now, I have :

Manage SSH Keys

Manage SSH Keys

Java SSH Login

Connect using SSHTerm (requires java)

Connect using Java Telnet Applet (requires java)

Click to expand...

Since, it's the first time I'm using it, what should I do ?
Should I generate a new key before doing anaything ? Which type and size should I choose ? Should I give it a name ? (can you give me an example ?)